Adjoint expansions in local Lévy models (Q2873128)
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scientific article; zbMATH DE number 6249462
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Adjoint expansions in local Lévy models |
scientific article; zbMATH DE number 6249462 |
Statements
23 January 2014
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Lévy process
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local volatility
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analytical approximation
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partial integro-differential equation
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Fourier methods
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Adjoint expansions in local Lévy models (English)
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0.8879022598266602
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0.8567688465118408
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0.8113470077514648
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0.7938086986541748
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0.7851594686508179
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